Financial risk manager FRM part II : market risk measurement and management. 

 - 3rd Custom Edition. 
 - Boston, MA :  Pearson Learning Solutions,  2014. 
 - xi, 335 p. ;  28 cm. 
<br/><br/>Estimating market risk measures -- non-parametric approaches -- Appendix - modeling dependence : correlations and copulas -- Parametric approaches (II) : extreme value -- Backtesting VAR -- VAR mapping -- The best of both worlds -- Incorporating volatility updating into the historical simulation method for value-at-risk -- Messages from the academic literature on risk management for the trading book -- LIBOR vs. OIS : the derivatives discounting dilemma -- The science of term structure models -- The evolution of the short rates and the shape of the term structure -- The art of term structure models : drift -- The art of term structure models : volatility and distribution -- volatility smiles -- Exotic options -- Basic of residential mortgage backed securities -- Overview of mortgages and the consumer mortgage market -- Overview of the mortgage-backed securities market -- Techniques for valuing MBS. 
<br/><br/><label>ISBN: </label>9781269625623 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Capital market.<br/>Capital market.<br/>Risk management.